Books by Espen Gaarder Haug  


Models on Models

Wiley Publishing

A Very Different Book About

Quantitative Models

Chapters on derivatives valuation and hedging and non-traditional thinking! + Interviews with 16 leading: modelers, quants, quant-traders, gamblers, philosophers from Wall Street and Academia + Packed with entertainment that will teach you about Derivatives and quantitative finance. Wilmott Bookshop Amazon US Amazon UK Barnes and Noble

The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:

Nassim Taleb on Black Swans
Edward Thorp on Gambling and Trading
Alan Lewis on Stochastic Volatility and Jumps
Emanuel Derman, the Wall Street Quant
Peter Carr, the Wall Street Wizard of Option Symmetry and Volatility
Clive Granger, Nobel Prize winner on Cointegration
Stephen Ross on Arbitrage Pricing Theory
Bruno Dupire on Local and Stochastic Volatility Models
Eduardo Schwartz the Yoga Master of Quantitative Finance
Aaron Brown on Gambling, Poker and Trading
Knut Aase on Catastrophes and Financial Economics
Elie Ayache on Modeling
Paul Wilmott on Paul Wilmott
Andrei Khrennikov on Negative Probabilities
David Bates on Crash and Jumps
Peter Jäckel on Monte Carlo Simulation

Book Review

More information at

Known typos : Click here to download corrections (pdf file)


The Complete Guide to
Option Pricing Formulas 2nd Edtion

McGraw-Hill, 2007

The 2nd edition is more then twice as long as first edition. More than 60 new option formulas. 530 pages (old version 220). Contains CD with almost any option formula you can think of and more, with 3D graphics (example).

Book review (1st Edition) Wilmott Magazine

Complete with numerical examples and explanations, Haug's "stamp collection" of formulas is an ideal supplement for anyone working with financial options. For more information see the Wilmott Bookshop Amazon US Amazon UK Barnes and Noble

Known typos 2nd Edition : Click here to download corrections (pdf file)
(version 2.0 updated November 4, 2010) Click here for Corrected VBA, saves you time typing.

Ni Hao!
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